Not a bag per se, but when my wife bought me my Wii, she packed it all up in this:http://www.techccessories.com/0/6508310.html
It looks and feels sturdy, but at the price, I do kind of wonder. I only used it to transport it back from my wedding, where I got it.
On the plus side, it has a lot of space. My wife got the console, cables, stand and power brick, 4 wiimotes, 2 nunchucks, a big pack of AAs and 4 games in.